回测报告增加基金池

asset_pool/dao/asset_risk_dates.py

@@ -18,6 +18,19 @@ def insert(asset_id, type: DateType, date):
     '''
 
 
+@read
+def get_list(asset_ids=None, max_date=None, min_date=None):
+    sqls = []
+    if max_date:
+        sqls.append(f"rap_date <= '{format_date(max_date)}'")
+    if min_date:
+        sqls.append(f"rap_date >= '{format_date(min_date)}'")
+    return f'''
+    select {','.join([f"`{x[0]}` as `{x[1]}`" for x in __COLUMNS__.items()])} from asset_risk_dates
+    {where(*sqls, ard_asset_id=asset_ids)} order by ard_asset_id, ard_date
+    '''
+
+
 @read(one=True)
 def get_last_one(fund_id, date=None, type: DateType = None):
     kwargs = {

basic/navs.py

+from datetime import datetime as dt
+from typing import List
+
 import pandas as pd
 from py_jftech import get_config, component, autowired, to_tuple
 
-from api import Navs, Datum, DatumType
+from api import Navs, Datum, DatumType, RoboReportor
 from basic.dao import robo_exrate as re, robo_fund_navs as rfn, robo_index_datas as rid, robo_eco_datas as red
 
 
@@ -84,3 +87,35 @@ class DefaultNavs(Navs):
             return red.get_last_one(eco_id=datum_id, max_date=max_date, by_release_date=by_release_date)
         else:
             return red.get_last(eco_id=datum_id, max_date=max_date, count=count, by_release_date=by_release_date)
+
+
+@component(bean_name='navs-report')
+class NavsReportor(RoboReportor):
+
+    @autowired
+    def __init__(self, datum: Datum = None, navs: Navs = None):
+        self._datum = datum;
+        self._navs = navs
+        self._config = get_config('reports.navs')
+
+    @property
+    def report_name(self) -> str:
+        return "基金净值"
+
+    @property
+    def tickers(self):
+        return self._config['tickers'] if 'tickers' in self._config else None
+
+    @property
+    def type(self):
+        return DatumType[self._config['type']]
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        asset_ids = {x['id']: x for x in self._datum.get_datums(ticker=self.tickers, type=self.type)}
+        if self.type == DatumType.FUND:
+            result = pd.DataFrame(self._navs.get_fund_navs(fund_ids=tuple(asset_ids.keys()), max_date=max_date, min_date=min_date))
+            result = result.pivot_table(index='nav_date', columns='fund_id', values='nav_cal')
+            result.rename(columns={x[0]: x[1]['bloombergTicker'] for x in asset_ids.items()}, inplace=True)
+            result.reset_index(inplace=True)
+            return result.to_dict('records')
+        return []

basic/test_case.py

 import logging
 import unittest
 
-from py_jftech import autowired, parse_date
+import pandas as pd
+from py_jftech import autowired, parse_date, to_str
 
-from api import Navs, Datum, PortfoliosRisk, DataSync
+from api import Navs, Datum, PortfoliosRisk, DataSync, RoboReportor
+
+logger = logging.getLogger(__name__)
 
 
 class BasicTest(unittest.TestCase):
-    logger = logging.getLogger(__name__)
 
     @autowired
     def test_index_close(self, navs: Navs = None):
         closes = navs.get_index_close(ticker='SPX Index', min_date=parse_date('2022-11-01'), datum_ids=67)
-        self.logger.info(closes)
+        logger.info(closes)
 
     @autowired
     def test_get_high_risk_datums(self, datum: Datum = None):
         datums = datum.get_high_risk_datums(PortfoliosRisk.FT9)
-        self.logger.info(datums)
+        logger.info(datums)
 
     @autowired(names={'sync': 'index-sync'})
     def test_index_sync(self, sync: DataSync = None):
@@ -31,6 +33,11 @@ class BasicTest(unittest.TestCase):
     def test_navs_sync(self, sync: DataSync = None):
         sync.do_sync()
 
+    @autowired(names={'report': 'navs-report'})
+    def test_export_navs(self, report: RoboReportor = None):
+        result = report.load_report()
+        logger.info(to_str(result))
+
 
 if __name__ == '__main__':
     unittest.main()

config.yml

@@ -157,6 +157,14 @@ rebalance: # 再平衡模块
     high-low-buy: # 高低买入相关
       threshold: [ 0.5, 0.8 ] # [ 低买入阀值，高买入阀值 ]
 reports: # 报告模块相关
+  navs:
+    type: FUND
+    tickers:
+      - TEMTECI LX Equity
+      - TEPLX US Equity
+      - FRDPX US Equity
+      - FKRCX US Equity
+      - FTNRACU LX Equity
   benchmark: # benchmark报告
     init-amount: 100 # 初始金额
     stock-rate: # stock型基金比例
@@ -200,7 +208,9 @@ reports: # 报告模块相关
   backtest: # 回测导出曹策略
     exist-build: on # 如果报告文件存在，是否重新构建文件
     save-path: ${EXPORT_PATH:excels} # 导出报告文件存放路径，如果以./或者../开头，则会以执行python文件为根目录，如果以/开头，则为系统绝对路径，否则，以项目目录为根目录
+    file-name: ${EXPORT_FILENAME:navs}
     include-report: # 需要导出的报告类型列表，下面的顺序，也代表了excel中sheet的顺序
+#      - navs-report # 净值报告
       - hold-report # 持仓报告
       - signal-report # 信号报告
       - asset-pool-report # 基金池报告

reports/backtest.py

@@ -34,12 +34,16 @@ class BacktestExportor(RoboExportor):
     def exist_build(self):
         return self._config['exist-build']
 
+    @property
+    def file_name(self):
+        return self._config['file-name'] if 'file-name' in self._config else 'backtest'
+
     def export(self, max_date=dt.today(), min_date=None):
         root = self.save_path
         os.makedirs(root, exist_ok=True)
-        filename = f"backtest_{format_date(max_date)}.xlsx"
+        filename = f"{self.file_name}_{format_date(max_date)}.xlsx"
         if min_date:
-            filename = f"backtest_{format_date(min_date)}_to_{format_date(max_date)}.xlsx"
+            filename = f"{self.file_name}_{format_date(min_date)}_to_{format_date(max_date)}.xlsx"
         file = os.path.join(root, filename)
         if os.path.exists(file):
             if not self.exist_build: